| Close | |
|---|---|
| Annualized Return | 0.0001 |
| Annualized Std Dev | 0.1543 |
| Annualized Sharpe (Rf=0%) | 0.0005 |
| Close | |
|---|---|
| Observations | 4683.0000 |
| NAs | 1.0000 |
| Minimum | -0.1678 |
| Quartile 1 | -0.0040 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0042 |
| Maximum | 0.0831 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0097 |
| Skewness | -1.8536 |
| Kurtosis | 33.9854 |
| Close | |
|---|---|
| Semi Deviation | 0.0073 |
| Gain Deviation | 0.0067 |
| Loss Deviation | 0.0085 |
| Downside Deviation (MAR=210%) | 0.0122 |
| Downside Deviation (Rf=0%) | 0.0073 |
| Downside Deviation (0%) | 0.0073 |
| Maximum Drawdown | 0.5032 |
| Historical VaR (95%) | -0.0128 |
| Historical ES (95%) | -0.0230 |
| Modified VaR (95%) | -0.0138 |
| Modified ES (95%) | -0.0138 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-04-11 | 2008-12-16 | 2011-12-21 | -0.5032 | 1186 | 426 | 760 |
| 2016-08-01 | 2020-03-18 | NA | -0.4060 | 1168 | 914 | NA |
| 2012-07-11 | 2013-09-13 | 2016-07-01 | -0.2974 | 1001 | 296 | 705 |
| 2002-08-23 | 2004-05-13 | 2007-04-02 | -0.2168 | 1151 | 430 | 721 |
| 2012-03-05 | 2012-03-27 | 2012-06-25 | -0.0962 | 79 | 17 | 62 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | NA | 0.3 | 0.7 | 1.4 | 1.9 | -0.4 | -0.1 | 3.8 |
| 2003 | -0.5 | 0.2 | -0.1 | 0.3 | -0.5 | 0.6 | -0.4 | 0.5 | 1.3 | 0.3 | -0.7 | 0.4 | 1.5 |
| 2004 | 0.3 | -0.1 | 1.1 | -1.2 | 0.8 | -0.2 | 0.4 | 0 | 1.7 | 2.1 | 0.2 | -0.8 | 4.3 |
| 2005 | 0.6 | -0.8 | 1.2 | 0.2 | 0.6 | 0 | 0 | 0.6 | -0.4 | 0.8 | 0.2 | -0.5 | 2.5 |
| 2006 | 0 | -0.8 | 0.4 | -0.5 | 1.2 | 0.6 | 0.2 | 0.1 | -0.2 | 1.2 | 1.2 | -0.3 | 3.2 |
| 2007 | 0.5 | -0.1 | 0.1 | 0.8 | -0.4 | 0.3 | 1.3 | 0 | 0.3 | -0.3 | 0.6 | 1.7 | 4.8 |
| 2008 | 0.7 | -4.1 | 1 | -0.2 | -1.3 | -0.6 | -0.5 | 1.5 | 1.7 | 2.5 | 1.1 | -1.2 | 0.5 |
| 2009 | 0.6 | 0.1 | 2 | 1.1 | -0.2 | 1.4 | 1.7 | 0.5 | -0.3 | 0.4 | 0.5 | -0.3 | 7.9 |
| 2010 | 0.8 | 0.3 | -0.3 | 0.2 | 0.7 | -0.7 | 0.2 | -0.7 | -0.6 | 0.5 | -0.3 | 0.6 | 0.7 |
| 2011 | 0.2 | 0.6 | 1.5 | 0.1 | 0.5 | 0.8 | 0.6 | 0.9 | 0.3 | 0 | 1.3 | 0.7 | 7.8 |
| 2012 | 0.7 | -0.3 | 0.2 | -0.1 | 0 | 0.1 | -0.4 | 0.8 | -0.1 | 0.7 | -1 | -0.1 | 0.7 |
| 2013 | 0.7 | 0.9 | 0.7 | 0.3 | -0.8 | -0.5 | 0.9 | 0 | 0.5 | -0.9 | 1.2 | -0.5 | 2.5 |
| 2014 | 0 | -0.2 | -0.1 | 0 | -0.5 | -0.1 | -0.6 | 0.4 | 0.4 | -0.3 | -0.4 | 0.1 | -1.2 |
| 2015 | 0.2 | 1.2 | -0.3 | -0.9 | 1.4 | 1.7 | 0.5 | 0.1 | 0.3 | 0.4 | 0.1 | 0.3 | 5 |
| 2016 | -0.1 | -0.7 | 0.2 | 0.2 | 0.7 | 1.1 | -0.6 | -0.5 | 0.2 | 0.1 | -1.4 | -0.2 | -1 |
| 2017 | 0 | -0.1 | 0.4 | 0.1 | -0.2 | 0.8 | 0.3 | 0.2 | 0.1 | -0.6 | -0.1 | 0.7 | 1.8 |
| 2018 | -0.3 | -0.6 | 0.2 | 0.3 | -0.2 | -0.1 | -0.4 | 0.2 | 0.1 | 0.7 | 0.7 | 0.2 | 1 |
| 2019 | 0.6 | 0 | -0.7 | 0.1 | 0.4 | 1.6 | 0.7 | -0.7 | -0.1 | 0.4 | 1.5 | 0.1 | 3.9 |
| 2020 | 0.1 | -1.6 | -3.9 | 0.5 | 0.4 | 0 | 0.1 | -1.3 | 0.6 | -0.2 | 0.4 | 0.1 | -5 |
| 2021 | 0.1 | 1.7 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.8 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2002-07-26 15 SPY 85.6 0.019 0.0105 -0.124 -0.203 -0.294 -0.371 NA <NA> NA NA NA
2 2002-07-29 15.3 SPY 89.8 0.0487 0.0921 -0.0972 -0.160 -0.245 -0.339 NA <NA> NA NA NA
3 2002-07-30 15 SPY 90.9 0.013 0.138 -0.081 -0.157 -0.228 -0.325 NA <NA> NA NA NA
4 2002-07-31 15 SPY 91.2 0.00240 0.076 -0.0605 -0.165 -0.235 -0.329 NA <NA> NA NA NA
5 2002-08-01 15.0 SPY 88.8 -0.0261 0.0569 -0.0652 -0.184 -0.262 -0.349 NA <NA> NA NA NA
6 2002-08-02 15.1 SPY 86.8 -0.0224 0.0139 -0.0913 -0.193 -0.282 -0.354 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>